ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 22/1/2018

Weekly Highlights*

The Calendar 2019 forward curve has continued to drop this week. NSW is down $2 to $78.37, VIC fell $1.42 to $83.35, QLD lost $0.89 to $65.78 and SA lost $1.42 to $95.10.

Q1 2018 prices have followed the same downward trend. NSW fell $7.55 to $87, VIC lost $5.89 to $134.20, QLD dropped $3 to $85 and SA declined $2 to $148. In the equivalent Caps market, NSW fell $2.05 to $11.70, VIC rose $3 to $37, QLD remained unchanged at $6.75 and SA gained $10 to $50.

Looking ahead to Q1 2019, prices were also mostly down. NSW declined by $1.95 to $90.25, VIC remained unchanged at $107.50, QLD fell $1.10 to $81.90 and SA lost $4.50 to $125. Likewise in Caps products NSW fell $0.51 to $15.80, VIC dropped $0.06 to $26.31, QLD remains the same at $13 and SA lost $0.45 to $32.

  • Implied at-the-money base load Q1 2018 average rate option volatility settled at 30.43% in NSW, 50.66% in VIC, 36.71% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2019 option volatility settled at 16.17% in NSW, 18.38% in VIC, 21.05% in QLD and 7.5% in SA.
  • Implied at-the-money base load Calendar Year 2019 option volatility settled at 14.31% in NSW, 17.34% in VIC, 17.34% in QLD and 7.50% in SA.

This weeks distribution of volume by region: NSW 35%, QLD 21%, VIC 43% and SA 2%.

Weekly Volume*^

  • Face Value of electricity traded this week = $370.1
  • Futures contracts traded this week (including Cap futures) = 2,310
    • Base Months = 0
    • Base Quarters = 876
    • Peak Quarters = 166
    • Base Cap Quarters = 1,268
  • Quarterly Average Rate Options traded this week = 501
  • Calendar Year Options traded this week = 0 (0 quarterly equivalent contracts)
  • Financial Year Options traded this week = 75 (300 quarterly equivalent contracts)
  • Volume of EFP this week = 117
  • Volume of Block Trades this week = 525
  • Total MWh traded this week = 6.61m MWh
  • Open Interest (including caps and options) = 44,910 contracts (representing 121.3 million MWh and a face value of $8.78 billion approx.)

Monthly Volume*^

  • FY 17/18 average daily volume = 521
  • FY 16/17 average daily volume = 710
  • FY 15/16 average daily volume = 705
  • FY 14/15 average daily volume = 812
  • FY 13/14 average daily volume = 702
  • FY 12/13 average daily volume = 637
  • Jan 18 volume to date = 6,931 / avg daily volume = 462
  • Dec 17 total volume = 6,475 / avg daily volume = 341
  • Nov 17 total volume = 12,700 / avg daily volume = 577
  • Oct 17 total volume = 11,237 / avg daily volume = 510
  • Sep 17 total volume = 14,994 / avg daily volume = 714
  • Aug 17 total volume = 10,276 / avg daily volume = 446
  • Jul 17 total volume = 11,996 / avg daily volume = 571
  • Jun 17 total volume = 11,817 / avg daily volume = 537
  • May 17 total volume = 16,637 / avg daily volume = 723
  • Apr 17 total volume = 11,547 / avg daily volume = 642
  • Mar 17 total volume = 13,800 / avg daily volume = 600
  • Feb 17 total volume = 25,211 / avg daily volume = 1,261
  • Jan 17 total volume = 15,608 / avg daily volume = 743
  • Dec 16 total volume = 12,300 / avg daily volume = 615
  • Nov 16 total volume = 24,280 / avg daily volume = 1,104
  • Oct 16 total volume = 13,128 / avg daily volume = 625
  • Sep 16 total volume = 15,358 / avg daily volume = 698
  • Aug 16 total volume = 13,309 / avg daily volume = 579
  • Jul 16 total volume = 8,643 / avg daily volume = 412
  • Jun 16 total volume = 17,453 / avg daily volume = 793
  • May 16 total volume = 16,758 / avg daily volume = 762
  • Apr 16 total volume = 11,788 / avg daily volume = 575
  • Mar 16 total volume = 13,199 / avg daily volume = 629
  • Feb 16 total volume = 15,092 / avg daily volume = 718
  • Jan 16 total volume = 14,219 / avg daily volume = 710
*all contracts are 1 MW calendar quarter equivalent

^volume includes futures trades which result from option exercise, face value of options calculated at strike price

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Chart Futures, Caps and Options VolumeChart Futures, Caps and Options Volume

Futures and Caps Open Interest - Peak=Futures, Base=Futures+Caps - as at COB Mon 22 Jan 2018

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Feb 2018 - 0 - 0 - 0 - 0
Mar 2018 - 0 - 0 - 0 - 0
Apr 2018 - 0 - 1 - 0 - 0
May 2018 - 2 - 0 - 0 - 0
Jun 2018 - 2 - 0 - 0 - 0
Q12018 147 1,625 269 2,032 195 2,311 7 336
Q22018 139 1,264 181 1,731 104 1,976 0 195
Q32018 105 1,425 164 1,749 76 1,420 2 138
Q42018 75 1,241 154 1,882 92 1,614 0 127
Q12019 30 904 28 1,233 51 1,234 0 134
Q22019 31 1,030 25 1,202 50 1,050 0 49
Q32019 1 753 25 742 5 654 0 26
Q42019 1 739 25 711 5 524 0 26
Q12020 17 369 0 158 0 244 0 8
Q22020 17 368 0 158 0 246 0 8
Q32020 4 51 0 38 0 10 0 8
Q42020 4 51 0 38 0 10 0 8
Q12021 0 0 0 0 0 0 0 0
Q22021 0 0 0 0 0 0 0 0
Q32021 0 0 0 0 0 0 0 0
Q42021 0 0 0 0 0 0 0 0
Total 571 9,824 871 11,675 578 11,293 9 1,063

Options Open Interest As at COB Mon 22 Jan 2018

  NSW VIC QLD SA
Mar 2018 830 828 569 2
Jun 2018 560 250 245 0
Sep 2018 350 100 100 0
Dec 2018 175 350 355 0
Mar 2019 50 150 100 0
Jun 2019 0 100 0 0
Sep 2019 0 0 0 0
Dec 2019 0 0 0 0
Fin 2019 400 609 1,155 0
Cal 2019 415 551 271 0
Fin 2020 50 0 430 0
Cal 2020 30 0 0 0
Fin 2021 0 0 0 0
Cal 2021 0 0 0 0
Total 2,860 2,938 3,225 2